Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0062
Annualized Std Dev 0.2420
Annualized Sharpe (Rf=0%) -0.0257

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.4713
Quartile 1 -0.0053
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0065
Maximum 0.2104
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0152
Skewness -5.3851
Kurtosis 175.2964

Downside Risk

Close
Semi Deviation 0.0119
Gain Deviation 0.0098
Loss Deviation 0.0147
Downside Deviation (MAR=210%) 0.0161
Downside Deviation (Rf=0%) 0.0119
Downside Deviation (0%) 0.0119
Maximum Drawdown 0.7142
Historical VaR (95%) -0.0203
Historical ES (95%) -0.0357
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2006-05-12 2008-11-21 NA -0.7142 3740 639 NA
2002-05-14 2003-03-11 2004-11-22 -0.4329 638 208 430
2001-08-08 2001-09-21 2001-12-17 -0.2020 88 28 60
1999-01-06 1999-04-12 1999-06-22 -0.1225 116 66 50
2001-02-06 2001-03-22 2001-05-07 -0.1133 63 32 31

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.3 -3 -1.5 0.5 0 1 0.1 1.3 -0.4 0.3 0.9 0 -1.1
2000 0.1 -1.2 2 1.2 1.3 0.5 -0.3 0.4 0 0.7 0.5 1 6.4
2001 -0.2 -1.5 -0.7 3 0 -0.4 1.5 -0.5 -0.2 -0.2 -0.5 0.4 0.7
2002 -0.9 0.5 -0.8 -0.1 0 -1.2 0.6 -0.4 2.8 -2.1 0.8 0.5 -0.3
2003 -1.7 1.8 -1.5 0.2 1.3 -0.6 -0.1 0.1 0.8 0.2 0.4 0 0.9
2004 0.1 0.3 -0.5 0.6 1.2 1.5 0.2 0.7 0.8 0.8 0.5 1.3 7.6
2005 0.9 -0.6 -0.4 0.3 -0.7 -0.9 0.2 -1.8 -1.2 0 1.6 1.2 -1.4
2006 0.9 0.2 0 1 1.1 -0.5 0.4 0.8 -0.2 -0.2 0 0.6 4.2
2007 0 -2 0.6 0.5 0.7 -0.3 -1.6 0.4 0.1 -0.9 0.6 -0.4 -2.3
2008 2 -2.7 2.6 1.7 1.3 -1.9 -2.9 -0.3 -2.3 0.1 -7.5 4.1 -6.1
2009 -2.2 -2.9 1.4 0.2 4 0.9 0.7 -2.7 -2.8 -2.2 0.5 0.2 -5
2010 1.5 1.3 1.1 -2.5 -0.8 -1.7 1.2 2.6 -0.4 -0.4 2.4 0 4.1
2011 2.1 -1.9 -0.2 0.7 -1.1 1.4 0.3 -2.5 -2 -4.1 -0.3 0.6 -6.9
2012 1.5 1.1 0 -0.2 -3.4 1.6 -0.5 -0.1 -0.5 1.2 0.1 0.6 1.4
2013 1.5 0.1 -0.2 -0.2 -0.5 1.9 1.6 -1.4 0.8 -0.2 -0.7 -1.6 1
2014 -0.8 0.2 1.3 -0.8 -0.1 0.9 -0.9 0.1 -1.6 1.3 -1.3 -0.6 -2.5
2015 -1.5 1.3 -0.3 0.5 0.2 1.6 1 -0.6 -0.4 0.7 -0.2 -0.1 2.2
2016 0 2 0.2 -0.9 0.3 0.5 -0.2 -0.1 1.4 -0.6 -0.5 -0.4 1.6
2017 0.1 1.5 0.1 0.3 0.4 0.4 0.2 0.4 0.5 0.1 -1.1 0.1 3.1
2018 -0.1 -1.4 1.4 -0.3 1 0.7 -0.1 -0.2 -0.4 1.2 1.6 0.8 4.3
2019 0.4 0.6 0.8 0.1 -0.4 0.7 -1.9 0 -1 3.6 0.1 -0.6 2.2
2020 -1.5 -2.4 -6 -1.5 0.2 0.9 0 -0.5 0.7 -0.2 1.7 0.1 -8.4
2021 1.1 4.2 0.1 NA NA NA NA NA NA NA NA NA 5.4

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart